$F$ is non-empty. Then there is a set $A_1 \in F$. Now as per the conditions there is a propoer subset $A_2 \subset A_1$ such that $A_2 \in F$. You can continue to induct that there is a sequence $A_1, A_2, ...A_n, ..$ such that each of them are elements of $F$.
Or proceed by contradiction. Suppose there are but a finite number of elements in $F$. Say, $F = \\{B_1, B_2, .., B_n\\}$. Now there must be a set $C$ in the finite collection $F$ such that there is no other set in $F$ which is a proper subset of $C$. The absence of such a set $C$ immediately entails that $F$ is infinite. But then since $C$ is in $F$ there must be a proper subset of it which is also in $F$ leading to a contradiction. Hence $F$ must be an infinite collection.